Financial Applications of Random Matrix Theory: a short review

Details Financial Applications of Random Matrix Theory: a short review Financial Applications of Random Matrix Theory: a short review

2009-10-07

arxiv.org/abs/0910.1205v1

Economy

Quantitative Finance

Statistical Finance

To appear in the "Handbook on Random Matrix Theory", Oxford University Press

Scientific paper

We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.

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